Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Dette, Holger | - |
dc.contributor.author | Van Keilegom, Ingrid | - |
dc.date.accessioned | 2005-10-11T14:37:10Z | - |
dc.date.available | 2005-10-11T14:37:10Z | - |
dc.date.issued | 2005-10-11T14:37:10Z | - |
dc.identifier.uri | http://hdl.handle.net/2003/21636 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-14489 | - |
dc.description.abstract | In the common nonparametric regression model the problem of testing for the parametric form of the conditional variance is considered. A stochastic process based on the difference between the empirical processes obtained from the standardized nonparametric residuals under the null hypothesis (of a specific parametric form of the variance function) and the alternative is introduced and its weak convergence established. This result is used for the construction of a Cramér von Mises type statistic for testing the parametric form of the conditional variance. The finite sample properties of a bootstrap version of this test are investigated by means of a simulation study. In particular the new procedure is compared with some of the currently available methods for this problem and its performance is illustrated by means of a data example. | en |
dc.format.extent | 207669 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.subject | Bootstrap | en |
dc.subject | Kernel estimation | en |
dc.subject | Nonparametric regression | en |
dc.subject | Residual distribution | en |
dc.subject | Testing heteroscedasticity | en |
dc.subject | Testing homoscedasticity | en |
dc.subject.ddc | 004 | - |
dc.title | A new test for the parametric form of the variance function in nonparametric regression | en |
dc.type | Text | - |
dc.type.publicationtype | report | en |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr32-05.pdf | DNB | 202.8 kB | Adobe PDF | View/Open |
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